美元：长期熊市的开始.docx

《美元：长期熊市的开始.docx》由会员分享，可在线阅读，更多相关《美元：长期熊市的开始.docx（33页珍藏版）》请在得力文库 - 分享文档赚钱的网站上搜索。

1、Table of ContentsWhy we stay dollar bears and implications3Why we stay bearish on the US dollar 3The euro versus the US dollar4When would policymakers try to stop USD weakness?8What normally stops a long-term currency move?9What about yen and sterling?9Impact of dollar weakness 11Positive for growth

2、11Positive for inflation expectations12Commodity prices13Gold15Regions 16Emerging markets16Europe19Japan21UK22Hedged versus unhedged returns23Sectors24Sectors with domestic Europe exposure24What about specific stocks?25Small caps 28Appendix30Appendix 1: Brexit30Appendix 2: EM currencies vs fundament

3、als31Appendix 3: Sector-adjusted P/E - Europe vs US32Appendix 4: Hedged versus unhedged returns - Japan and the UK32Figure 23: Investors are mildly short sterling10%Speculative net positions in GBP against dollar as a % of open-8%2000200320072010201320172020-100%200520072009201020122014201620182020S

4、ource: Refinitiv, Credit Suisse researchSource: Refinitiv, Credit Suisse research Sterling should be helped by a European recovery (43% of UK exports go to the EU) but has the constraint of a current account deficit that continues to run at 3.3% of GDP and Brexit trade negotiations. We are a little

5、more optimistic on the latter (see Appendix), but on the whole see sterling moving in line with the euro.Figure 24: The current account deficit remains large in the UKQ31992Q1 1998Q3 2003Q1 2009Q3 2014Q1 2020Source: Refinitiv, Credit Suisse researchImpact of dollar weaknessPositive for growthA weake

6、r dollar is good for global growth, with 80% of global trade and 62% of FX reserves dollar-denominated. Moreover, the US can accommodate any inflationary consequences of dollar weakness while the currency strength elsewhere, particularly in GEM, leads to monetary easing.We believe that the weak doll

7、ar stands in contrast to the GFC, when post May 2011 the dollar strengthened, which partly curtailed the recovery in global growth. We can see that quite often a weaker dollar and a rise in global activity coincide.Positive for inflation expectationsPartly for the reasons stated above, we believe th

8、at a weaker dollar will result in a rise in inflation expectations. This further supports our belief that investors should invest in real assets (UK and US homebuilders, German residential real estate, mining, cement, and companies with CPI-linked pricing formulae often found in concessions and util

9、ities). For more details, see Lonq-term inflationary consequences and what to do.Figure 25: A weaker dollar tends to lead to a recovery in global activity57Global PMI manufacturing new orders4587899193959799101103105Figure 26: We can see inflation expectations rising with the falling dollar2000 2002

10、 2004 2006 2007 2009 2011 2013 2015 2016 2018 2020201520162017201820192020Source: Company data, Credit Suisse estimatesSource: Company data, Credit Suisse estimatesOur preference is for real asset plays that are cyclical, cheap, not technically disrupted, benefit from some help from government polic

11、y, and have a formal CPI link (e.g. regulated utilities). We show some of our preferred areas below.Figure 27: Our areas of interestEuropean Value - areas of interestChe叩Not technically disruptedPlays on ChinaReal asset playsAided by Gov. PolicyFormalCPI linkHomebuildersXXXXMiningXXXXXConcessionaire

12、sXXXXXPackaging & TreesXXXCementXXXXXSource: Credit Suisse researchCommodity pricesA weaker US dollar is clearly positive for commodity prices. This is because only about 5-8% and 20% of demand for mining commodities and oil, respectively, comes from the US, yet commodity prices are mostly dollar-de

13、nominated. Thus a weaker dollar makes commodities cheaper in local currencies for non-US buyers, supporting commodity demand.Figure 28: US share of global demandSource: Refinitiv, World Bank, Credit Suisse researchFigure 29: USD weakness tends to correlate with commodity price strengthSource: Refini

14、tiv, Credit Suisse researchSo far, all we have seen in commodities is a generalized rise (the ratio of gold to copper, for example, has been unchanged) since March, reflecting a fall in real bond yields.Figure 30: Rising commodity prices have been largely reflecting a fall in real bond yields since

15、March90 i1111 0.919-Mar19-Z)r19-May19-Jun19-JulSource: Company data, Credit Suisse estimatesThis supports our overweight of European mining companies, which we like for the following reasons (for more details, see COVID-19: Long term inflationarv consequences and what to do, 2 Jul): An attractive va

16、luation - minings FCF yield is very high (15% on spot price, 11% on base case prices for 2021 using maintenance capital spending). If we use spot prices and growth capex, the FCF yield in 2021 is 10.2% post working capital adjustment.Figure 31: Free cash flow yields for the sector remain reasonably

17、attractiveFCF % Post WCBaseSpotStress 1Stress 2201920202021202020212020202120202021BHP Group11.4%7.8%7.2%9.3%10.7%6.1%2.8%4.5%(0.4%)Rio Tinto12.7%10.3%11.7%11.7%16.9%7.6%4.1%6.1%(0.5%)Glencore11.6%3.0%14.9%2.3%17.6%6.4%10.1%8.4%5.5%Anglo American8.2%2.2%9.7%3.3%14.8%0.5%7.4%(0.8%)3.8%Average11.0%5.8

18、%10.9%6.6%15.0%5.1%6.1%4.6%2.1%Median11.5%5.4%10.7%6.3%15.9%6.2%5.7%5.3%1.7%Stress 1: Iron Ore US$50/t; Copper US$2.0/1 b; Thermal Coal US$60/t; Coking US$120/tStress 2: Iron Ore US$30/t; Copper US$1.55/lb; Thermal Coal US$55/t; Coking US$100/tSource: Credit Suisse European Mining Research Mining ha

19、s a very high correlation with inflation expectations. It is a real asset play (our view remains that the TIPS yield will fall to -2% from c.-l% currently). It is a China play (nearly half of copper demand comes from China) where IP growth has recovered to 4.8% year-on-year, Markit manufacturing PMI

20、 new orders are at their highest levels since Jan 2011 and there is clear-cut evidence of a rebound in construction (China construction PMI is at 60.5) and real estate and infrastructure FAI is up by 8% and 6% yoy in Q2.Figure 33: Real estate investment has picked upFigure 32: Mining sector has one

21、of the highest correlations with inflation expectations0.30.20.10-0.1-0.2-0.3Europe relative sector performance correlation with inflationexpectations, 3 month change-0.4dd 2 HHqol 2 南QU- =1 g 2 E88O51ss 2#b山OHds-s 2 ss EEOO SE3S is ss 2 m/s e卷d 一-山oaMT-8一 suooss usooH8.SU2155Is。一dSPO&dpoS-B-sww SXU

22、BgReal estate investment, China, yoy-25%Jan-15 Nov-15 Sep-16 Jul-17 Jun-18 Apr-19 Feb-20Source: Refinitiv, Credit Suisse researchSource: Refinitiv, Credit Suisse research It is not technically disrupted (renewables use 14x more copper than fossil fuels and EVs require much more copper than combustio

23、n engines). The industry structure is attractive (especially for iron ore, with the top four producers accounting for c80% of seaborne iron ore and all the low-cost capacity being in the quoted sector). Our Mining teams top pick is Anglo American, which trades on 3x 2021 EBITDA, after adjusting for

24、the value of its cross holdings.GoldWith 95% of gold consumers coming from outside the US, the gold price benefits from a weaker US dollar.Moreover, the most important driver of gold is the TIPS yield, which we think will fall to -2%, which would be in line with a gold price of $2,200. For more deta

25、ils on our view of gold, please see Lon-term inflationary consequences and what to do.Figure 34: Gold tends to track the inverse of real yields as proxied by the TIPS yield (rhs, inverted)200620082011201420172020Source: Refinitiv, Credit Suisse researchSource: Refinitiv, Credit Suisse researchFigure

26、 35: Gold and the dollar move inversely with each otherGold stocks look inexpensive on P/E relative to the market and neutrally valued on P/B relative to the market.Figure 36: Gold stocks are cheap on a 12m forward P/E relative basis.280% Source: Refinitiv, Credit Suisse researchFigure 37: .and neut

27、ral on P/B relativeSource: Refinitiv, Credit Suisse researchFigure 39: GEM is the best performing region when the dollar weakensFigure 40: Rolling correlation and beta of EM equities and USD has weakenedMSCI EM rel. to AC World, in lct 12m rollingL5 correlation to USD TWI1995199820012004200720102013

28、20172020Source: Refinitiv, Credit Suisse researchBelow we show a screen of Outperform-rated gold stocks.Figure 38: Outperforrrvrated gold stocksName-P/E (12m fwd)-P/B -2020e, %HOLTPrice, % change to best2020e Momentum, %Consensus recommendation (1=Buy; 5=Sell)Credit Suisse ratingAbsrel to Industryre

29、l to mkt % above/below averageAbsrel to m kt % above/below averageFCYDY3m EPS3m SalesNewmont22.7123%-19%2.727%4.61.466.97.42.02.1OutperformZhaojin Mining Ind.H,24.7133%-18%2.5-22%na1.0-58.72.8-1.41.9OutperformZijin Mining Group H18.7101%1%2.821%6.82.5-42.812.57.61.9OutperformSt Barbara10.557%-47%1.9

30、-17%8.82.5104.3-6.1-1.32.4OutperformEndeavour Mining10.758%-68%4.4157%8.80.286.136.235.91.8OutperformOceanagold Cdi.15.584%nanana11.90.4126.9-82.00.41.9OutperformSource: Refinitiv, IBES, MSCI, Credit Suisse HOLT, Credit Suisse estimatesRegionsEmerging marketsEmerging markets are clear beneficiaries

31、of USD weakness, backing up our strong overweight (see Regional strategy post COVID-19). The correlation has remained very tight.-0.6 Japan UK Europe ex. UK US GEMSource: Refinitiv, Credit Suisse researchOrdinarily GEM outperformance correlates very closely with dollar weakness, but GEM can outperfo

32、rm up to one year ahead of the peak in the dollar.Figure 42: GEM trough vs peak in DXYFigure 41: Most emerging markets outperform as their currencies strengthenEM re pe Ho financeDXYEM peakEM tough daes Kfex DrawdowDXY Peak DaPeakVaheMontis beveen DXY peak and EMtoughAjg-90-20%Jur-89106-20Sep-94岫卜95

33、-30%Feb-9497-13刖197Sep-98-60%JuU)112134Feb-00Q01-31%JuU)1121-3Feb-08CbX)8-30%帕卜09895Sep-14Jan-16-25%Dec-1610311Aeraoe20.60.40.20.1-0.3-0.5-0.7U2.C 二nfnos eaie 0n山 snoox三3 _lc。EwsnB pueod roc-6 一Ne 缶 ,ps uopu- A上Jnl94Source: Refinitiv, Credit Suisse researchSource: Refinitiv, Credit Suisse researchFi

34、gure 43: GEM currencies are, in aggregate (GDP weighted), around 30pp cheap when compared to their global export market share2000200320062010201320162020Source: Refinitiv, Credit Suisse researchReal yield differential EM6* and the US (in pp)Averagesimple average of respective data for Brazil, Indone

35、sia, Mexico,Source: Refinitiv, Credit Suisse researchThe reason is that emerging markets have $5.4trn of FX-denominated debt. Moreover, imports are often USD-denominated, hence appreciating GEM currencies reduce inflation and give EM central banks more flexibility to cut rates.We would add that GEM

36、currencies are very clearly undervalued against export market share. Hence this time around, GEM currencies/ strength could be much larger than normal, especially at a time when the real yield pick-up is particularly high.Figure 44: Emerging market real yields are at 7 p.p premium relative to the US

37、We would also note that the basic balance of payments position of many emerging markets has improved sharply (with India, Brazil and Mexico forecast to have a current account surpluses of 1% of GDP, -1.1% of GDP and 0.1% of GDP, respectively, in 2020). We show in the Appendix that the most attractiv

38、e combination between cheap currency and good fundamentals can be found in the Russian Ruble and Malaysian Ringgit.Figure 45: GEM aggregate (ex China) basic balanceQ2 Q2 Q2 Q2 Q2 Q2 Q2 Q2 Q2 Q2 Q2 Q2 Q2 Q2 1994 1996 1998 2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020Source: Company data, Cre

39、dit Suisse estimatesLast, we believe that dollar weakness will lead to a rise in FX reserves as the carry trade in GEM starts to get going. This in turn leads to central banks trying to cap currency strength by building up FX reserves, and that in turns leads to an increase in money supply, leading

40、asset prices and hence GEM to outperform. So far, we can see returns have lagged FX reserves.The emerging markets that stand to benefit most from a weaker dollar are those with the highest FX-denominated debt.Figure 46: GEM relative performance vs change in FX reservesSource: Refinitiv, Credit Suiss

41、e researchFigure 47: FX-denominated debt as % of GDP by country and sectorews 碧u- e-me-岁 E-ssnH qs uopu- qqe_pnES eaioy五eouInnos B-qEOoo oqx三-8OZO pssl weodXJ&uiSource: IIF, Credit Suisse researchFigure 49: A stronger euro tends to see European equities underperform.Figure 50: .as currency strength

42、weighs on relative earnings revisionsBelow we show European stocks with high GEM exposure.Figure 48: Outperforrrvrated GEMexposed stocks in EuropeP/E (12m fwd) P/B2020e, %HOLT 2020e Momentum, %NameRei perf since 20thFeb 2020GEM Exposure (%)AbsreltoIndustryrelto mkt % above/below averageAbsrel to mkt

43、 % above/below averageFCYDYPrice,% change to best3m EPS3m SalesConsensus recommendation (1=Buy; 5=Sell)Credit Suisse ratingDanone-3%45%15.571%-38%2.1-38%4.93.6-19.1-9.8-3.82.2OutperformCarlsberg B5%52%22.296%-6%3.233%4.52.1-30.40.7-1.32.0OutperformSymrise27%42%37.4166%13%6.016%2.51.0-25.6-1.1-1.12.6

44、OutperformHeineken-9%46%24.1105%-5%2.8-22%3.11.6-10.8-29.9-7.32.8OutperformLogitech R79%63%32.9134%27%7.774%2.51.1-15.36.36.02.6OutperformAsm International37%60%21.4102%12%3.571%4.11.3-4.59.84.01.9OutperformUnilever (Uk)18%58%20.782%-21%47.690%na3.1-2.9-2.80.52.5OutperformUbisoft Entertainment Cat A9%55%23.7na-15%6.636%-1.70.0-2.0-16.10.92.3OutperformFerrexpo35%50%6.334%-27%1.1-54%33.46.3130.020.34.33.3OutperformLanxess-2%53%13.258%-32%1.4-44%7.72.133.1-16.7-5.32.3Outperform